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- Rolling and fixed period returns, such as return for the last month, year-to-date, last year, 2-years ago, 3-years ago, and since-inception.
- Asset- and Equal-weighted composite dispersion and membership statistics over these periods.
In this section:
Use the Composite Analysis Report
Create a Composite Analysis Report Profile
Composite Analysis Report Fields
Asset-Weighted Standard Deviation Statistic
Composite Analysis Statistics
Define the Time Periods in a Composite Analysis Report
Calculate Results if Data is Missing
Convert Currency Data in the Composite Analysis Report
Tips for Using the Composite Analysis Report
Deliver Composite Analysis Report Results to Data Mart
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The first page of the report profile contains options for selecting the composites, reporting periods and other parameters used to run the report. See the following figure.
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Options for the report profile are described in the following table.
Option | Description |
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Report rule to use | Rule governing the statistics you want to calculate. |
Specify the performance model | Performance model for the returns data. |
Select the date ranges | Selects the date range columns. For more information, see Defining the Time Period in a Composite Analysis Report. If you do not see all of the date ranges that you want to report on, you can add more. For details, refer to the GIPS Composite Management Configuration Guide section on creating custom date rules. You must select one date rule at the report profile level in most cases. However, if you select a field rule that includes one or more Composite Performance Analysis fields with date ranges defined at the field level, the system does not require that you specify a date rule. For details, see Delivering Composite Analysis Report Results to Data Mart. |
Calculate Missing Data | For information, see Calculating Results if Data is Missing. |
Enumerate Composites | For information, see Enumeration of Composites. |
Options | The Options button allows you to define currency conversion options in the Select the Currency tab of the Advanced Options dialog box. For more information, see Converting Currency Data in the Composite Analysis Report. |
The second page of the report profile includes scheduling option and report options, most of which are standard for PACE reports. See the following figure.
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The Group results by composite instead of date option applies only to the Composite Analysis report. You must select this option if you are delivering the report results to Data Mart. If your report uses date ranges defined at the Composite Performance Analysis field level, you can select this option to view results in the Group Results by Composite viewing format. For more information, see Delivering Composite Analysis Report Results to Data Mart.
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The following table lists the Dispersion Calculation fields that are currently available in the Composite Analysis report.
Equal Weighted Composite Return (Mean Return) | Asset Weighted Composite Return |
Equal Weighted Standard Deviation | Asset Weighted Standard Deviation |
High, Low and Medium Return | High, Low, Mean and Medium Value (as of period end) |
High, Low, Mean and Medium Value (as of period begin) |
Best Quartile/Decile/Percentile | Worst Quartile/Decile/Percentile |
Quartile Dollar Dispersion |
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These fields will, on the fly, identify the Composite's constituents for each time period selected in the report, fetch the applicable Performance data inputs of the constituents' and calculate the result. With the enumerate composites option, the Composite's constituents used in the calculation will be the final constituent entity list that is derived by drilling through to the lowest level of the composite entity structure as illustrated earlier. If the enumerate composites option is not selected, then Composite's direct constituents at the top-level are used.
In accordance with GIPS, the evaluation of the Composite's constituent list is done on each time period individually, with the rule being to only include those constituents that were in the Composite for the entire time period. This is the main reason these calculations are done on the fly and the stored Composite sub-period data is not simply chain-linked and used.
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In addition to the above, the field types listed in the following table are also available in this report.
Begin and End Value fields | Composite Data (stored) |
Composite Return (stored & linked) | Begin Composite Data (stored) |
Benchmark Return | Benchmark Name |
Begin and End Benchmark Value fields | Firm Assets |
% Of Firm Assets calculation |
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- Is selected, then process looks through to the lowest level in the composite entity structure and uses the final constituent entity list in doing the calculations.
Is not selected, it looks up the composite's direct constituents at the top level as stored on the ENTITY_RANGE_DETAILS table.
Composite Analysis Report Field
Description of Field Process
Data Inputs
Asset Weighted Return*
This field gathers the returns and weights of the constituents in the composite for each time period and calculates, on the fly, linked constituents' returns and then uses them in calculating an asset weighted composite return.
Performance Field Attributes where the return and weight data of the constituents' is stored
Asset Weighted Standard Deviation*
This field gathers the returns and weights of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns, an asset weighted composite return and then uses them in calculating the Asset Weighted Standard Deviation.
Performance Field Attributes where the return and weight data of the constituents' is stored
Begin Benchmark Value
This field fetches non-return Benchmark data from PERF_SEC_RETURNS, such as Market Value, as of the Beginning of each time period in the report for the Composite's assigned benchmarks.
Performance Field Attribute where the Benchmark data is stored and the Benchmark entity info (primary, secondary, and so on)
Begin Composite Data
This field fetches non-return Composite data from PERF_SEC_RETURNS, such as Market Value, as of the Beginning of each time period in the report.
Performance Field Attribute where the Composite data is stored
Begin Value*
This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the beginning of the time period and calculates, on the fly, the Composite value by summing the constituent's values.
Performance Field Attribute where the constituent data is stored
Benchmark Name
This field fetches the benchmark name from the ENTITY table for the Composite's assigned benchmarks.
Entity field attribute where the benchmark name is stored and the Benchmark Entity info (primary, secondary, and so on)
Benchmark Return
This field fetches the benchmark's return data and links it for each time period in the report for the Composite's assigned benchmarks.
For a sample field and setup options for linking benchmark assignments, see the GIPS Composite Management Configuration Guide.Performance Field Attribute where the Benchmark return is stored and the Benchmark entity info (primary, secondary, and so on)
Benchmark Value
This field fetches non-return Benchmark data from PERF_SEC_RETURNS, such as Market Value, as of the End of each time period in the report for the Composite's assigned benchmarks.
Performance Field Attribute where the Benchmark data is stored and the Benchmark entity info (primary, secondary, and so on)
Best Quartile/Decile/ Percentile
This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Best Quartile/Decile/Percentile for each time period.
Performance Field Attributes where the return data of the constituents' is stored.
Composite Data
This field fetches non-return Composite data from PERF_SEC_RETURNS, such as Market Value, as of the End of each time period in the report.
Performance Field Attribute where the Composite data is stored
Composite Return
This field fetches the Composite's return data from PERF_SEC_RETURNS and links it for each time period in the report.
Performance Field Attribute where the Composite return data is stored
End Value
This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and calculates, on the fly, the Composite value by summing the constituent's values.
Performance Field Attribute where the Constituent data is stored
Equal Weighted Return
This field gathers the returns of the constituents in the composite for each time period and calculates, on the fly, linked constituents' returns that are then used to derive an equal weighted (mean) composite return.
Performance Field Attributes where the return data of the constituents' is stored.
Equal Weighted Standard Deviation
This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns, an equal weighted composite return and then uses them in calculating the Equal Weighted Standard Deviation for each time period.
Performance Field Attributes where the return and weight data of the constituents' is stored
Firm Assets
This field retrieves the Firm Assets amount for the Firm associated with the composite. If you report on Firm AUM based on:
- Performance data, this field identifies the Firm associated with the composite and retrieves the Firm Assets amount stored historically for the related Firm in the Performance tables.
- Entity data, this field identifies the Firm associated with the composite and retrieves the Firm Assets amount stored historically for the related Firm in the ENTITY or ENTITY_EXTENSION table.
Client data, this field identifies the Firm associated with the composite and retrieves the Firm Assets amount stored for the related Firm in the CLIENT table.
For more information, see Reporting on Firm AUM" in the GIPS Composite Management Configuration Guide. |Entity Field Attribute that stores the Firm associated with the constituent composite
Performance Field Attribute Entity Field Attribute, or Client Detail Field Attribute where you store the Firm's Firm Assets amount|Highest Begin Value
This field gathers the non-return values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Highest value.
Performance Field Attribute where the constituent data is stored
Highest Return
This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Highest return value.
Performance Field Attribute where the constituent return data is stored
Highest Value
This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Highest value.
Performance Field Attribute where the constituent data is stored
Lowest Begin Value
This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Lowest value.
Performance Field Attribute where the constituent data is stored
Lowest Return
This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Lowest return value.
Performance Field Attribute where the constituent return data is stored
Lowest Value
This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Lowest value.
Performance Field Attribute where the constituent data is stored
Mean Begin Value
This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Mean value.
Performance Field Attribute where the constituent data is stored
Mean Value
This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Mean value.
Performance Field Attribute where the constituent data is stored
Median Begin Value
This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Median value.
Performance Field Attribute where the constituent data is stored
Median Return
This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Median return value.
Performance Field Attribute where the constituent return data is stored
Median Value
This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Median value.
Performance Field Attribute where the constituent detail is stored
Percentage of Firm Assets
This field calculates the Composite % of Firm Assets for the composite. If you report on Firm AUM based on:
- Performance data, this field identifies the Firm associated with the composite, retrieves the Firm Assets amount stored historically for the related Firm in the Performance tables, and retrieves the Composite Market Value stored in the Performance tables.
- Entity data, this field identifies the Firm associated with the composite, retrieves the Firm Assets amount stored historically for the related Firm in the ENTITY or ENTITY_EXTENSION table, and retrieves the Composite Market Value stored in the Performance tables.
Client data, this field identifies the Firm associated with the composite, retrieves the Firm Assets amount stored for the related Firm in the CLIENT table, and retrieves the Composite Market Value stored in the Performance tables.
For more information, see Reporting on Firm AUM" in the GIPS Composite Management Configuration Guide.|Entity Field Attribute that stores the Firm associated with the composite
Performance Field Attribute Entity Field Attribute, or Client Detail Field Attribute where you store the Firm's Firm Assets amount
Performance Field Attribute where you store the composite data|Portfolios Added
This field calculates the number of constituents that were added to the composite during each time period.
None
Portfolios at Begin of Period
This field calculates the number of constituents that were in the composite as of the beginning of each time period.
None
Portfolios at End of Period
This field calculates the number of constituents that were in the composite as of the end of each time period.
None
Portfolios in Period
This field calculates the number of constituents that were in the composite for the entire time period.
None
Portfolios Removed
This field calculates the number of constituents that were removed from the composite during each time period.
None
Quartile Dollar Dispersion (Best)
This field gathers the weights and returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Best Quartile Dollar Dispersion for each time period.
Performance Field Attributes where the return and weight data of the constituents is stored
Quartile Dollar Dispersion (Worst)
This field gathers the weights and returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Worst Quartile Dollar Dispersion for each time period.
Performance Field Attributes where the return and weight data of the constituents is stored
Worst Quartile/Decile/ Percentile
This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Worst Quartile/Decile/Percentile for each time period.
Performance Field Attributes where the return data of the constituents is stored
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Define the Time Periods in a Composite Analysis ReportAnchor _Toc14685720 _Toc14685720 A Composite Analysis report may contain multiple time periods. The time periods in the report also can be customized. Time periods are configured by creating custom Date Rules under the Report Component Rules tab in the Report Studio and appear as columns in the report results. The date rules are selected in the Date Range section of the Composite Analysis report profile as a parameter when configuring the report.
Note that when creating Date Rules for use with a Composite Analysis Report, the start date should be adjusted to a month start so that the start date is always the 1st day in the period you are configuring. If you use the month end as a start date, you may not get accurate results for the portfolios in the composite for the period.
For example, constituent Portfolio A enters the composite on 8/01/2000. If Composite Dispersion is run for the monthly period of August 2000, the start date of the date rule must be 8/01/2000, not 7/31/2000, to ensure that Portfolio A is included. With a start date of 7/31/2000, Portfolio A will not be included in the results because it did not belong to the composite on 7/31/2000.
The enumerate composites feature uses the same logic in determining member constituents for the composites of composites entity structure regardless of which level of the composite entity structure the ACOM entity type resides.
The core internal date rules listed in the following table come with the product. You can add additional custom date rules at will.Prior Month
Current Month to Date
Quarter to Date
Current Year to Date
Prior Quarter
2 Quarters Back
3 Quarters Back
4 Quarters Back
Annual–1 yr ago
Annual–2 yrs ago
Annual–3 yrs ago
Annual–4 yrs ago
Annual–5 yrs ago
Since Inception
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Calculate Results if Data is MissingAnchor _Toc14685721 _Toc14685721 This section describes the Do you want to calculate missing data? option in the Composite Analysis report profile, as described in "Analyzing Composite Dispersion and Membership.
By default, the report only queries the database for returns and market values for the constituent portfolios defined to be in the composite for the entire calculation period represented by each column of the report. If there is missing data for any one of these underlying portfolios, then the report returns an N/A in the cell for this statistic in the report. Missing data means, for example, that the returns and market values for only 2 of 3 portfolios required for calculating the composite statistics are in the database.
You can override this option by selecting Yes to the Do you want to calculate if data is missing option? question at the bottom of the profile. The purpose of this option is to allow you to begin viewing composite results on a Preliminary basis, even though the returns for all of the constituent entities might not all be calculated. You can create two different reports, one with the option set to Yes and another to No, in order to monitor the status of the constituent portfolio data.
The composite statistics are calculated as shown in the following table for each option.Statistic
Do Not Calculate if Missing Data
Calculate if Missing Data
For many of the Composite Dispersion statistics, the program must first calculate a geometric linked return for each constituent portfolio over the period represented by the column.
If at least one required return is not available for a member entity for the date period, then that entity's linked return result will be N/A and any statistics depending on that linked return result will also return N/A.
If returns are available for any of the portfolios over any of the single-periods, they will be linked and returned.
Many Composite Dispersion statistics require a weighting factor in the calculation.
Return an N/A for the statistic result.
The entity will be excluded entirely from the statistic calculation and a result based on the other member entities will be calculated. This only affects the statistic fields requiring a weighting factor and will be mutually exclusive of other statistics that do not require weights in their calculation. Those other fields will still include the entities where appropriate (that is high return will still include the entity if the return data is available).
If a Composite Dispersion statistic requires a return value for each member entity and it is a single period date rule and at least one member entity is missing a return value for the period
Return an N/A for the statistic result.
The entity will be excluded entirely from the statistic calculation and a result based on the other member entities will be calculated. This only affects the statistic fields requiring a return value and will be mutually exclusive of other statistics that do not require a return value in their calculation. Those other fields will still include the entities where appropriate (that is, High Market Value will still be presented if available).
If the Composite Dispersion statistic requires a value for the calculation (that is High Ending Market Value)
Return an N/A for the statistic result.
The entity will be excluded entirely from the statistic calculation and a result based on the other member entities will be calculated.
Linking of Stored Composite returns
If at least one return is not available for the Composite for a date rule period, then the Composite's linked return result will be N/A for that period.
The available Composite's returns found for the date rule period will be linked together and used in the statistic calculation.
Even if an entity is excluded from a calculation due to missing data, it will still be displayed when you double-click the column to look at the constituent data for the period, and will display N/A where appropriate.
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Convert Currency Data in the Composite Analysis ReportYou can use the currency options in the Composite Analysis report profile to:Anchor _Toc14685722 _Toc14685722 - Convert constituent data to the base currency of the composite
- Convert composite and constituent data from one base currency to another, which can differ from the currency of the composite and the constituents
- Convert the composite's benchmark to the same currency as that of the composite
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When you select the Options button in the first page of the Composite Analysis report profile, the Select the Currency tab of the Advanced Options dialog box appears, allowing you to define the currency conversion criteria. See the following figure. For information about adding or editing a Composite Analysis report profile, see Creating a Composite Analysis Report Profile.
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The following table describes the Select a Currency tab options in the Advanced Options dialog box.
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Convert Multi-currency | When you select this check box, the calculator identifies each constituents' base currency, compares it to its composite's base currency, and converts the stored returns and market values to the composite's base currency at report run time to derive the composite statistics. When you submit the report, the system converts multi-period returns to another currency as follows:
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Convert benchmark to portfolio base currency | Select this option to convert the benchmark returns currency. The system identifies the appropriate currency for the conversion based the way you set other options in this tab. If you select:
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Convert each Entity's base currency to: | Use this option to convert returns and other values from each entity's base currency to this currency. This allows you to convert composite and constituent data from one base currency to another, which can differ from the currency of the composite and the constituents. Select a currency value from the First alternate Currency list, or click the Clear button to delete the selected value. |
Second Alternate Currency | If you enter a value in the First alternate Currency box and the specified currency has a start or a stop date, for example, the Euro has a start date of 1/1/99, the system notes the Currency Start Date or Currency Stop Date, and the Second Alternate Currency box becomes available. |
Fetch foreign exchange rates | Select one of these two options to determine how to handle missing exchange rates:
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Override Currency Conversion if an Entity Family Member Exists | If you select this check box, the report references an entity with an associated, predefined list of entities with different base currencies, and uses the entity from the list whose base currency matches the target currency of FX-conversion. |
Cross currency process is <ON/OFF> using currency <CURRENCY> | The system displays the cross currency calculation settings you chose at the PACE system level. It identifies whether you enabled cross currency calculations, and shows the reference currency used for storing FX rates. These settings are needed for triangulation. |
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